The Economic Determinants Of The Brazilian Term Structure Of Interest Rates

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The Economic Determinants Of The Brazilian Term Structure Of Interest Rates

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Rodrigo Sekkel
Denisard Alves

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Denisard C. O. Alves

Abstract

The purpose of the present study is to identify the effects of monetary policy and macroeconomic shocks on the dynamics of the Brazilian term structure of interest rates. We estimate a near-VAR under the identification scheme proposed by Christiano et al. (1996, 1999). The results resemble that of the US economy: monetary policy shocks flatten the term structure of interest rates. Nevertheless, we find that monetary policy shocks in Brazil appear to explain a significant larger share of the dynamics of the term structure than in the USA. Finally, we also study the importance of standard macroeconomic variables, as GDP, inflation and specially, a measure of country risk for the dynamics of the term structure in Brazil. The empirical evidence allows us to infer that as the Brazilian term structure of interest rates increase its maturities, the more important will macroeconomic shocks be to its determination.

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Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] with number 027.

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Date of creation: 2005
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Handle: RePEc:anp:en2005:027

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Find related papers by JEL classification:
E53 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Deposit Insurance

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-12-01 (All new papers)
NEP-CBA-2005-12-01 (Central Banking)
NEP-LAM-2005-12-01 (Central & South America)
NEP-MAC-2005-12-01 (Macroeconomics)
NEP-MON-2005-12-01 (Monetary Economics)

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